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by DavidJN
March 30th, 2023, 2:04 pm
Forum: Economics Forum
Topic: BTFD - Bank Term Funding Program Thread
Replies: 17
Views: 6177

Re: BTFD - Bank Term Funding Program Thread

If SVB had held it’s already considerable regulatory-mandated liquidity in a form with lower market risk – say UST FRNs - well, they certainly wouldn’t have earned anything on it, but then any asset fire sale wouldn’t be traumatic. I am a believer in more or less forcing the smaller firms to hedge m...
by DavidJN
March 30th, 2023, 2:03 pm
Forum: Economics Forum
Topic: BTFD - Bank Term Funding Program Thread
Replies: 17
Views: 6177

Re: BTFD - Bank Term Funding Program Thread

If SVB had held it’s already considerable regulatory-mandated liquidity in a form with lower market risk – say UST FRNs - well, they certainly wouldn’t have earned anything on it, but then any asset fire sale wouldn’t be traumatic. I am a believer in more or less forcing the smaller firms to hedge m...
by DavidJN
March 29th, 2023, 3:12 pm
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 8339

Re: Basic fixed income question: the meaning of "one month ahead"

The Treasury Direct website does identify the reset rate of UST FRNs (floating rate notes) as the 13-week T-bill rate rather than the 3-month.  I started in bonds, and when I asked these questions more than 30 years ago an old bond honk told me that Following was the payment convention because the g...
by DavidJN
March 22nd, 2023, 2:21 am
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 8339

Re: Basic fixed income question: the meaning of "one month ahead"

Bill tenors are usually quoted in weeks, that is used to establish a trial date. A "date roll" is then applied to adjust the trial date if it falls on a non-business date (weekend or holiday). So the question is what is the UST date roll convention. The date roll is not the same thing as t...
by DavidJN
March 21st, 2023, 1:11 pm
Forum: Student Forum
Topic: Basic fixed income question: the meaning of "one month ahead"
Replies: 17
Views: 8339

Re: Basic fixed income question: the meaning of "one month ahead"

The US Treasury Direct website does not provide an answer. Grrr. I've always defaulted to Modified Following per the ISDSA definitions - if the trial date falls on a non-business day, go forward in time to the next good business day unless that results in moving into the next month, in which case go...
by DavidJN
March 18th, 2023, 8:25 am
Forum: Programming and Software Forum
Topic: XLOPERs as XLL function arguments
Replies: 7
Views: 3798

Re: XLOPERs as XLL function arguments

Thank you for your posts. 1. I am switching on argument XLOPER xltype for error checking purposes. I have yet to find anything I can supply to the Excel Function Wizard that switches on an xltype into xltypeMulti. I can supply arguments that switch on xltype as expected into the other sub types - xl...
by DavidJN
March 16th, 2023, 3:30 pm
Forum: Programming and Software Forum
Topic: XLOPERs as XLL function arguments
Replies: 7
Views: 3798

XLOPERs as XLL function arguments

Any hardcore Excel C API XLL developers on the forum? I have a question or two about using the internal Excel data types, the XLOPERs, as XLL function arguments. The 2013 MS XLL SDK sample code (latest version) uses the U data registration type (XLOPER12) for XLL function arguments, and “coerces” th...
by DavidJN
February 27th, 2023, 11:03 pm
Forum: General Forum
Topic: When Issued Bonds (Pre-Auction Pricing)
Replies: 2
Views: 3879

Re: When Issued Bonds (Pre-Auction Pricing)

I found this old text by Kenneth Garbade (at Bankers Trust at the time) to be really good on US Treasuries. Can't find my copy but I'm certain when-issueds are covered. 
https://mitpress.mit.edu/9780262525572/ ... analytics/
by DavidJN
February 4th, 2023, 11:47 pm
Forum: General Forum
Topic: Fund group internal transfers at unfair prices
Replies: 15
Views: 6645

Re: Fund group internal transfers at unfair prices

Sounds rather intriguing. I cannot offer much advice about how to conduct a suitable event study. But I can offer some opinions about what happens  after  you conclude there really is a problem. None of it is fun and the worst is front-loaded. At that point, one’s professional obligation is to firs...
by DavidJN
January 24th, 2023, 8:29 am
Forum: Technical Forum
Topic: Simulation Path Number in Mortgage Price/OAS
Replies: 2
Views: 3694

Re: Simulation Path Number in Mortgage Price/OAS

How does the simulation output behave as you vary the number of time steps? W h at are the accuracy and the precision of the model? What kind of simulation output and dia g nostics are you collecting?   What is the opportunity cost of the additional computational time with more timesteps? A lot depe...
by DavidJN
December 27th, 2022, 11:56 am
Forum: Politics Forum
Topic: Random Republican WINGNUTS (or RRWs as they are affectionately known as)
Replies: 240
Views: 72750

Re: Random Republican WINGNUTS (or RRWs as they are affectionately known as)

Meanwhile, north of the border Canadian Conservatives are working furiously to find (manufacture) something resembling a full-time job before politics to put on his Wiki page so that the federal Conservative party leader Pierre Poilievre can claim to have done something other than politics before be...
by DavidJN
December 22nd, 2022, 1:50 pm
Forum: Off Topic
Topic: Cathie Wood tribute (watch out for that tree)
Replies: 24
Views: 3247

Re: Cathie Wood tribute (watch out for that tree)

The survey of US car owner buying intentions recently showed for the first time Tesla owners less committed to their brand than Big 3 vehicle owners.
by DavidJN
December 6th, 2022, 2:48 pm
Forum: Politics Forum
Topic: What is Borisism?
Replies: 383
Views: 88597

Re: What is Borisism?

I think I have it. Borisism can be described as simply this: “If others remain willing to give me money, being an MP or even PM is a part-time job.”
by DavidJN
December 5th, 2022, 2:58 pm
Forum: Politics Forum
Topic: The vaccines
Replies: 398
Views: 69403

Re: The vaccines

Canadians are struggling what to make of Mr Peterson. He does seem a bit distant in front of the camera these days, a bit sedated. One of our more annoying newspapers, The National Putz... er... Post, was offering mental health explanations for his behaviour a while back.    Not long ago I found a v...
by DavidJN
December 2nd, 2022, 3:11 pm
Forum: Politics Forum
Topic: Are you ready for Brexit?
Replies: 822
Views: 123750

Re: Are you ready for Brexit?

The UK government has hired 50,000 additional bureaucrats to deal with Brexit. That number is said to be about equal to the number of EU employees in Brussels. The irony is delicious.   But my favourite so far is Boris’ government reduced to begging a private road charity for help in dealing with st...